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Hi, I am Haohan Zhao

Haohan Zhao

Quant Researcher at WanYan Capital

I am a senior undergraduate student majoring in Finance at the Business School of Nanjing University. My research interests include Quantitative Finance, Data Science, and Fin-Tech. My experience has centered around Quantitative Research internships, involving factor mining, CTA strategies, and Crypto. I am proficient in Python and skilled in ML and DL modeling with tools such as scikit-learn, PyTorch, and Gymnasium.

Data Analysis
Alpha Research
Quantitative Strategies
Python
Pytorch
Linux

Education

Bachelor of Finance
GPA: 4.59 out of 5
Taken Courses:
Course NameTotal CreditObtained Credit
Python10096
Data Structures and Algorithms10094
Probability Theory10096
Random Processes10094
Ordinary Differential Equations10094
Financial Microstructure10098
Financial Engineering10092
Machine LearningAA

Experiences

1
WanYan Capital.

Aug 2024 - Present

Shanghai

A well known Private Fund Management Company.

Stock Index Future Quantitative Researcher

Aug 2024 - Present

Responsibilities:
  • Researched the convergence patterns of IM’s basis and spreads using regression, corr, etc.
  • Mined interpretable, financially meaningful temporal factors from 1-minute IM spot and future data, targeting the 10-minute change rate in future contract spreads, and evaluating alphas using IC, ICIR and Sharpe.

WorldQuant.

Oct 2023 - Present

Nanjing

A well known hedge fund.

Alpha Consultant

Oct 2023 - Present

Responsibilities:
  • Implemented a personalized automatic alpha mining pipeline based on fundamentals, orderbook, price/volume data and alternative data in US equity market, submitting over 20 high-performance alphas to production
2

3
MX Capital.

Jun 2024 - Aug 2024

Shanghai

Private Fund Management Company, focus on stocks and futures strategy.

Crypto Quantitative Researcher

Jun 2024 - Aug 2024

Responsibilities:
  • Constructed a Genetic Algorithm factor mining pipeline with customized fitness functions and operators to generate over 200 factors based on BTC K-line data. Pushed 107 low correlated alphas to portfolio construction.
  • Selected crypto pairs to develop an arbitrage strategy with Bollinger. Used rolling training to optimize trading parameters, achieving a post-fee Sharpe of 2.73 and an Annualized Return of 21.32%.
  • Implemented a Reinforcement Learning pair trading strategy for BTC-ETH using TD3 algorithm. The model generated continuous position signals, achieving a post-fee Sharpe of 3.47 and an Annualized Return of 27.46%.

Remote

A leading securities company in China, providing comprehensive financial services.

Stocks Quantitative Researcher

Apr 2024 - Jun 2024

Responsibilities:
  • Predicted intraday stock price jump using Random Forest, Neural Networks, etc. with liquidity and technical indicators. Constructed a standard framework from jump detection to model performance evaluation.
  • Stock ex-rights and ex-dividends event alpha; Weekly timing using MACD and technical indicators.
4

5
Liangyan Investment Co.

Jun 2023 - Aug 2023

Shanghai

Private Fund Management Company, focus on CTA strategy.

CTA Quantitative Researcher

Jun 2023 - Aug 2023

Responsibilities:
  • Attribution of the performance of various commodity futures and strategies.
  • Constructed a market band division system based on MACD, ATR, etc. to recognize high-low points. Increased the Sharpe by 0.69 (2.46), the Calmar by 0.92 (3.14), and decreased Max Drawdown by 9% (12%).

Projects

Chinese Index Future Quantitative Research
Owner Aug 2024 - Present

A project to research the basis and spread of Chinese index futures.

Crypto Quantitative Research
Owner Jun 2024 - Aug 2024

A project includes an automatic factors mining framework based on Genetic Programming, an arbitrage strategy based on Bollinger and RL TD3 algorithm.

Generative Adversarial Networks
Owner Apr 2024 - Jun 2024

Implemented a GAN model to generate MNIST images and a conditional GAN model to generate specific digit images.

Statistical Arbitrage on the S&P 500
Owner May 2024 - Jun 2024

Used DNN, GBDT, RF, XGBoost, LightGBM to implement a statistical arbitrage strategy on the S&P 500 index.

Skills

Featured Posts

Recent Posts

Accomplishments

Machine Learning
Coursera Oct 2023 - Dec 2023

This course provides a broad introduction to machine learning, datamining, and statistical pattern recognition. Topics include: (i) Supervised learning (parametric/non-parametric algorithms, support vector machines, kernels, neural networks). (ii) Unsupervised learning (clustering, dimensionality reduction, recommender systems, deep learning). (iii) Best practices in machine learning (bias/variance theory; innovation process in machine learning and AI).

Binance Data and Trading Framework
Binance Jun 2024 - Aug 2024

This is a project completed during my internship at Mingxi Capital, where I implemented a data scraping and trading framework based on Binance API. The framework is capable of fetching historical data, real-time data, and executing trading strategies.